Misure del rischio di credito nel finanziamento delle imprese e incidenza dei prestiti in default: un'analisi comparata per le banche europee

Giovanni Ferri and Zeno Rotondi
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Zeno Rotondi: Unicredit

No 122, Mo.Fi.R. Working Papers from Money and Finance Research group (Mo.Fi.R.) - Univ. Politecnica Marche - Dept. Economic and Social Sciences

Abstract: We hypothesize that Italian banks suffer a competitive disadvantage in business lending. We estimate two cross sections of about 100 European banks for 2013: the first on the determinants of exposure to credit risk on performing business loans, the second on the determinants of non performing business loans. The results confirm our hypothesis. The disadvantage of Italian banks on performing business loans depends on four major factors, where there is a systematic reduction in capital required for business loans to banks: 1) from the core Eurozone countries; 2) using IRB models, not widespread in Italy; 3) from countries with "sector" supervision model (instead Italy has a "hybrid" model); 4) from countries that, unlike Italy, have more efficient insolvency procedures. There are three major factors on the incidence of default, which is lower for banks in countries: 1) that are Eurozone core; 2) with higher GDP growth over 2007-2013; 3) with more efficient insolvency procedures. These results call for system solutions to remove Italian banks. competitive disadvantage, to avert the risk that recovery in investment is stifled by a creeping structural credit crunch. Both financial markets development and improvements in the efficiency of insolvency procedures would help. However, the high road is launching a large-scale plan of government guarantees to support business lending. We argue that this public intervention would unlikely generate costs for the treasury and would be compatible with the public finance balances. Showing that the competitive disadvantage in business loans for Italian banks affects not only retail SMEs but also to corporate SMEs and is greatest for large corporates, we argue that it is necessary, as in Germany, to allow also mid-sized enterprises to access public guarantees.

Pages: 33
Date: 2016-04
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